GARCH

         I'll outline here how you can solve this kind of problem, using the
first example in the 'garch' help page:

library(tseries)
     n <- 1100
     a <- c(0.1, 0.5, 0.2)  # ARCH(2) coefficients
     e <- rnorm(n)
     x <- double(n)
     x[1:2] <- rnorm(2, sd = sqrt(a[1]/(1.0-a[2]-a[3])))
     for(i in 3:n)  # Generate ARCH(2) process
     {
       x[i] <- e[i]*sqrt(a[1]+a[2]*x[i-1]^2+a[3]*x[i-2]^2)
     }
     x <- ts(x[101:1100])
     x.arch <- garch(x, order = c(0,2))  # Fit ARCH(2)
(sum.arch <- summary(x.arch))
<snip>
    Estimate  Std. Error  t value Pr(>|t|)
a0   0.09887     0.01013    9.764  < 2e-16 ***
a1   0.43104     0.05276    8.170 2.22e-16 ***
a2   0.31261     0.05844    5.350 8.82e-08 ***
<snip>

         Then I tried 'str(sum.arch)'.  This told me it is a list with 6
components, and the one I want is named 'coef'.  This led me to examine
'sum.arch$coef', which includes the desired numbers.  Moreover,
'class(sum.arch$coef)' told me this is a 'matrix'.  This information
suggests that the following might be what you requested:

 sum.arch$coef[, "Pr(>|t|)"]
          a0           a1           a2
0.000000e+00 2.220446e-16 8.815239e-08

         Hope this helps.
         Spencer Graves

Jeff Newmiller wrote:

Prof Brian Ripley wrote:

Why do you think

help.search("garch-methods", package="tseries")

finds accessor functions?  That is notation for S4 methods, and "garch"
is an S3 class so there will be none.  Here there _is_ an accessor,
coef(), and you can find that there is by

Probably because I used it, found a mention of various extraction functions
including coef(), and could not find a way to access "Pr(>|t|)" using
coef(). Nor have I had luck with
  help.search("summary.garch", package="tseries")

Possibly also because I have not yet figured out the difference between
S4 and S3 methods, but since the result of my  help.search call displayed S3
functions I don't see how knowing this difference would have helped.

methods(class="garch")

[1] coef.garch*      fitted.garch*    logLik.garch*    plot.garch*
[5] predict.garch*   print.garch*     residuals.garch* summary.garch*

   Non-visible functions are asterisked

Note though that inherited methods might be relevant too (e.g. default
methods) and indeed it seems that here the default method for coef would
work just as well.

Given Arun Kumar Saha's question...

 > > Now I want to store the value of Pr(>|t|) for coefficient a0, a1,
 > > and b1, and also values of these coefficients, so that I can use
 > > them in future separately. I know that I can do it for coefficients
 > > by using the command:
 > > coef(garch1)["a0"] etc, but not for Pr(>|t|). Can anyone please
 > > tell me how to do this?

... I don't see how coef() helps because I have yet to figure out how
to use coef() (or any other accessor) to find " Std. Error" of the
coefficient, much less "Pr(>|t|)". summary.garch seems to have only a
print method, with no accessors at all. Can you offer a solution?